货币政策不确定性是中国股票市场的定价因子吗?

Is Monetary Policy Uncertainty a Pricing Factor for China’s Stock Market?

本文以M2增长率度量中国的数量型货币政策,基于结构向量自回归模型和随机波动率模型测度货币政策不确定性(MPU)指数,发现其具有明显的反周期特征。在随机折现因子模型框架下对MPU指数进行截面定价。研究结果表明:MPU因子定价核的系数显著为正,风险溢价显著为负;在Fama-French的25个规模账面市值比投资组合中,控制其他风险因子之后,最低MPUβ投资组合的收益要比最高MPUβ投资组合的收益平均每年高出1.428%,即MPU是中国股市的重要定价因子。

We use structural vector autoregressive model and stochastic volatility model to measure monetary policy uncertainty(MPU)index with M2 growth rate and find it has obvious countercyclical characteristics.Under the framework of the stochastic discount factor model,the coefficient of the MPU factor pricing kernel is significantly positive and the risk premium is significantly negative.In the Fama-French 25 scale-book-to-market ratio portfolios,after controlling other risk factors,the year return rate of the lowest MPU beta portfolio is 1.428%higher than that of the highest MPU beta portfolio.Overall,MPU is an important pricing factor for China’s stock market.